Why does plugging in a monitor improve AA performance?

Your display resolution is a huge factor in the speed of games; turning the resolution down can result in drastically more smooth gameplay, but at a steep cost of picture quality.

If your external monitor is of a lower resolution than your Macbook Pro's built-in display, then the game is playing at a lower resolution and therefore will run faster.

I see no other reason an external monitor would cause games to run faster than the internal monitor.

Recent MacBook Pros have two GPUs and will keep one of them powered-down until needed (to save battery). It's likely that plugging in a second monitor is causing the idle GPU to be powered up so you're getting better rendering performance as a result.

Try installing gfxCardStatus so that you can monitor what's going on with your GPU(s).